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Correlation Risk Modeling and Management: An Applied Guide including the Basel III Correlation Framework – With Interactive Models in Excel / VBA + Website (Wiley Finance) - Tapa dura
A THOROUGH GUIDE TO CORRELATION RISK AND ITS GROWING IMPORTANCE IN GLOBAL FINANCIAL MARKETS IDEAL FOR ANYONE STUDYING FOR CFA, PRMIA, CAIA, OR OTHER CERTIFICATIONS, CORRELATION RISK MODELING AND MANAGEMENT IS THE FIRST RIGOROUS GUIDE TO THE TOPIC OF CORRELATION RISK. A RELATIVELY OVERLOOKED TYPE OF RISK UNTIL IT CAUSED MAJOR UNEXPECTED LOSSES DURING THE FINANCIAL CRISIS OF 2007 THROUGH 2009, CORRELATION RISK HAS BECOME A MAJOR FOCUS OF THE RISK MANAGEMENT DEPARTMENTS IN MAJOR FINANCIAL INSTITUTIONS, PARTICULARLY SINCE BASEL III SPECIFICALLY ADDRESSED CORRELATION RISK WITH NEW REGULATIONS. THIS OFFERS A RIGOROUS EXPLANATION OF THE TOPIC, REVEALING NEW AND UPDATED APPROACHES TO MODELLING AND RISK MANAGING CORRELATION RISK. OFFERS COMPREHENSIVE COVERAGE OF A TOPIC OF INCREASING IMPORTANCE IN THE FINANCIAL WORLD INCLUDES THE BASEL III CORRELATION FRAMEWORK FEATURES INTERACTIVE MODELS IN EXCEL/VBA, AN ACCOMPANYING WEBSITE WITH FURTHER MATERIALS, AND PROBLEMS AND QUESTIONS AT THE END OF EACH CHAPTER
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Reseña del editor:
A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
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Praise for The Definitive Guide to CDOs: Application, Pricing, and Risk Management.
"In the past, derivatives researchers have devoted a great deal of effort to modeling volatility, but have not paid enough attention to correlation. The crisis of 2008 showed us just how important correlations can be. This book looks at all aspects of correlation modeling and will be a valuable resource for both academics and practitioners."
—John Hull, Maple Financial Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University of Toronto
"This book zeroes in on the quantitative issue at the heart of the crisis. We are way past due on a book of this nature."
—Peter Carr, PhD., Global Head of Market Modeling, Morgan Stanley Executive Director of the Masters in Math Finance Program, NYU
"This book is a very timely and needed reference reviewing the various approaches to correlation modelling from across all areas of OTC derivatives analytics. The author contributed broadly to the subject and the insights he shares will be useful to practitioners and academics alike."
—Claudio Albanese, CEO, Global Valuation
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- EditorialJohn Wiley & Sons Inc
- Año de publicación2014
- ISBN 10 111879690X
- ISBN 13 9781118796900
- EncuadernaciónTapa dura
- Número de páginas352
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